How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0689	2.82***
β GARCH Volatility persistence	0.9245	117.00***
γ leverage Additional response to negative shocks	-0.0689	-2.45**
λ₁ tau intercept Baseline long-term coefficient	10.0000	8.14***
λ₂ forecast adj. Forecast performance sensitivity	0.0106	6.88***
λ₃ tau persistence Long-term factor persistence	0.9814	167.01***

V-Lab

Baillie Gifford US Growth Trust PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Baillie Gifford US Growth Trust PLC Analyses